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Econometrics II
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Econometrics II
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Academic year 2013/2014
- Course ID
- ECO0143
- Teaching staff
- Prof. Fabio Cesare Bagliano (Titolare del corso)
Prof. Alessandro Sembenelli (Titolare del corso)
Marina Di Giacomo (Titolare del corso) - Year
- 1° anno
- Teaching period
- Secondo semestre
- Type
- Di base
- Credits/Recognition
- 12
- Course disciplinary sector (SSD)
- SECS-P/05 - econometria
- Delivery
- Tradizionale
- Language
- Inglese
- Attendance
- Facoltativa
- Type of examination
- Scritto
- Examination methods
- 2 h. and 30 m. (max.) written exam at the end of the course
- Prerequisites
- The formalized analysis of econometric models requires familiarity with the basics of calculus, probability theory and linear algebra. Previous exposure to an Introductory Econometrics course at the level of, say, Stock and WatsonÂs Introduction to Econometrics (2nd edition, 2007) is also desirable.
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Sommario del corso
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Course objectives
The main purpose of this course is to give a general and comprehensive overview of the different econometric methodogies and approaches, focusing on what is relevant for doing and understanding empirical work. The number of econometric techniques that can be used is numerous and their validity often depends crucially upon the validity of the underlying assumption. This course attempts to guide students through this array of estimation and testing procedures by also offering several computer-lab sessions where students will face real world empirical cases.
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Results of learning outcomes
This course will provide students with a deep and up-to-date knowledge of modern econometric theories and related estimation and testing techniques.
Students will learn how to apply econometrics techniques to actual economic and financial problems. To this aim students will be introduced to a professional econometric software (E-views) which will be used for the computations presented in this course.
Students will also learn how to assess the validity of the assumptions of a wide range of econometric models with the purpose of realizing potential drawbacks or dangers in their application to relevant empirical economic questions.
Overall, this course will enable students to understand the recent developments in econometrics and will be a suitable basis for further research work in the area.
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Program
The course will cover the following topics:
1. The classical linear regression model: basics and violations
2. Endogeneity, instrumental variables and GMM
3. Maximum likelihood estimation and specification tests
4. Models with limited dependent variables
5. Univariate time series models
6. Multivariate time series modelsSuggested readings and bibliography
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The course is mostly based on Verbeek’s A Guide to Modern Econometrics (3rd edition, 2008, John Wiley and sons). Note that a new edition (4th edition) might become available before the course starts. For most topics lecture notes will be also circulated.
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